If you want hair/fur that is done with a vertex group particle system in Blender. Other programs may just paint it on, dunno.
And while we are on that subject, Most programs that generate a model have surface finishes that are not always readily available in Terragen. Hannes and others have done a great job of explaining how to get what is not automatic to compensate.
when I edited these to export I had to remove every finish I knew would not transfer to Terragen. Mix nodes, transparency, gloss, add, ramp....so ....